CO372 Winter 2018
    Computational optimization methodologies underlying portfolio problems in finance. Computational linear algebra, determining derivatives, quadratic and nonlinear optimization. The efficient frontier problem. Applications of optimization in finance such as volatility surface determination and global minimization for Value-at-Risk.

Portfolio Optimization Models ( Course Information/Syllabus)
Instructor: Henry Wolkowicz (MC6312;;519-888-4567x35589)

  • Time:T-R 11:30--1:00PM;     from Thurs. Jan. 4 to Tues. Apr. 3.
  • Location: MC4059
  • Office Hour: Henry Wolkowicz: Wednesday 2:00-3:00PM in MC6312.
  • TAs:
    • Nargiz Kalantarova, Office Hour: Tuesday 1:00-2:00PM, in MC5119
    • Sina Rezazadeh Baghal, Friday 2:00-3:00PM, in MC5492
    • Darius Lasecki, Office Hour: Monday 2:30-3:30PM, in QNC3321
  • Midterm: In class, Thurs. Feb. 15, 2018. closed book; no calculators.
  • FINAL EXAM: TBA; closed book; no calculators
  • Marking Scheme: HW (5-7 assigns) 25%; Midterm 25%; Final 50%
  • see Waterloo LEARN for Assignments (solutions outlined in class), Partial Lecture Notes, etc...

  • Text - Class notes (and reference: Portfolio Optimization, Michael J. Best (on reseerve))

  • Last Modified:  Monday 15 January 2018